Smoothing Projected Gradient Method and Its Application to Stochastic Linear Complementarity Problems

@article{Zhang2009SmoothingPG,
  title={Smoothing Projected Gradient Method and Its Application to Stochastic Linear Complementarity Problems},
  author={Chao Zhang and Xiaojun Chen},
  journal={SIAM Journal on Optimization},
  year={2009},
  volume={20},
  pages={627-649}
}
A smoothing projected gradient (SPG) method is proposed for the minimization problem on a closed convex set, where the objective function is locally Lipschitz continuous but nonconvex, nondifferentiable. We show that any accumulation point generated by the SPG method is a stationary point associated with the smoothing function used in the method, which is a Clarke stationary point in many applications. We apply the SPG method to the stochastic linear complementarity problem (SLCP) and image… CONTINUE READING
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